As someone else pointed out here, asking "why" can make some people feel defensive. Although, I think it should depend on the situation and client.

Also, being asked "why" can be very frustrating, especially when the therapist or person asking "why" is unresponsive to your reply. When I was last in therapy, I was often very disappointed when the therapist had a blank look on her face after asking me "why" or a similar question, and then stopped any further inquiry. I felt like she didn't consider my response important enough to continue on that line of inquiry. So, I think that if a therapist is going to ask "why," then he/she should be prepared to continue probing deeper with more "why" inquiries, or even more specific questions, only stopping if the client doesn't want to go any further at that point or chooses to take it in a different direction. Although, the therapist needs to be careful to never sound judgmental in the way a question is presented. Anyway, that is just my personal opinion, based on my past frustrations with therapists.